This phase II, single-arm, multicenter study will evaluate pembrolizumab therapy 200 mg IV given every 3 weeks (Q3W), following a single priming dose of cyclophosphamide 300 mg/m2 IV in patients with advanced triple-negative breast cancer (TNBC) who have received at least one prior line of therapy. The primary objective is to estimate progression-free survival (PFS) for cyclophosphamide + pembrolizumab in advanced TNBC patients compared to pembrolizumab alone (historical PFS = 1.9 months).